Cut bell peppers in half lengthwise; discard seeds and membranes. Place pepper halves, skin sides up, on a foil-lined baking sheet; flatten with hand. Broil 20 minutes or until blackened. Place in a zip-top plastic bag; seal. Let stand 20 minutes. Peel and cut into strips. Place peppers in beaker of an immersion blender; add oil. Puree until smooth. Transfer puree to a bowl. Stir in 1/8 teaspoon salt and 1/8 teaspoon black pepper.
Heat a large, heavy saucepan over medium-low heat. Coat pan with cooking spray. Add onion to pan; cover and cook 5 minutes or until tender, stirring occasionally. Add sliced fennel and fennel seeds to pan; cover and cook over medium-low heat 8 minutes or until sliced fennel is tender. Increase heat to medium-high. Add zucchini and garlic to pan, and cook 3 minutes, stirring constantly. Add broth; bring to a boil. Cover, reduce heat, and simmer 20 minutes or until vegetables are tender.
Place vegetable mixture, 1/4 teaspoon salt, and 1/4 teaspoon black pepper in beaker of an immersion blender; puree until smooth. Pour 1 cup soup into each of 6 bowls; top each serving with 1/3 cup pepper puree.
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